v3.25.2
Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2025
Fair Value of Financial Instruments [Abstract]  
Assets and Liabilities Measured and Recorded at Fair Value on Recurring Basis
Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at June 30, 2025 and December 31, 2024 were as follows:
 
                
     June 30,
2025		       December 31,
2024		  
Derivative Liability – Contingent Interest April Note
 
$
650,000    
$
47,000  
Derivative Liability – Contingent Interest September Note
 
$
298,000    
$
94,000  
Derivative Liability – Contingent Interest December Note
 
$
589,000    
$
275,000  
April Note [Member]  
Fair Value of Financial Instruments [Abstract]  
Key Assumptions Used in Model at Inception
The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
                
    
June 30,
2025
       December 31,
2024		  
Stock Price
 $ 2.11     $ 1.29  
Conversion Price of conversion feature
 $ 5.00     $ 5.00  
Term
  1.25 years     0.29 years  
Risk Free Interest Rate
   3.96 %     4.37 %
Credit Adjusted Discount Rate
   13.31 %     12.43 %
Volatility
   101 %     152 %
Dividend Rate
   0 %     0 %
Roll Forward of Derivative Liability - Contingent Interest
The roll forward of the April Note derivative liability – contingent interest is as follows for the six months ended June 30, 2025 and 2024:
 
     
Balance – December 31, 2024
  $ 47,000 
Fair Value Adjustment
    603,000 
Balance – June 30, 2025
  $ 650,000 
        
Balance – December 31, 2023
  $ 431,000 
Fair Value Adjustment
    358,000 
Balance – June 30, 2024
  $ 789,000 
September Note [Member]  
Fair Value of Financial Instruments [Abstract]  
Key Assumptions Used in Model at Inception
The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
 
   
June 30,
2025
    
December 31,
2024
  
Stock Price
  $ 2.11     $ 1.29  
Conversion Price of conversion feature
  $ 8.64     $ 8.64  
Term
 
1.25 years
    0.72 years  
Risk Free Interest Rate
    3.96 %     4.16 %
Credit Adjusted Discount Rate
    13.31 %     12.43 %
Volatility
    101 %     111 %
Dividend Rate
    0 %     0 %
Roll Forward of Derivative Liability - Contingent Interest
The roll forward of the September Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2024
  $ 94,000 
Fair Value Adjustment
    204,000 
Balance – June 30, 2025
  $ 298,000 
        
Balance – December 31, 2023
  $ 169,000 
Fair Value Adjustment
    140,000 
Balance – June 30, 2024
  $ 309,000 
December Note [Member]  
Fair Value of Financial Instruments [Abstract]  
Key Assumptions Used in Model at Inception
The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
 
                 
 
 
June 30,
2025
 
 
December 31,
2024
 
Stock Price
 
$
2.11
 
 
$
1.29
 
Conversion Price of conversion feature
 
$
5.43
 
 
$
5.43
 
Term
 
1.25 years
 
 
0.97 years
 
Risk Free Interest Rate
 
 
3.96
%
 
 
4.16
%
Credit Adjusted Discount Rate
 
 
13.76
%
 
 
12.43
%
Volatility
 
 
101
%
 
 
102
%
Dividend Rate
 
 
0
%
 
 
0
%
Roll Forward of Derivative Liability - Contingent Interest
The roll forward of the December Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2024
  $ 275,000 
Fair Value Adjustment
    314,000 
Balance – June 30, 2025
  $ 589,000 
        
Balance – December 31, 2023
  $ 404,000 
Fair Value Adjustment
    262,000 
Balance – June 30, 2024
  $ 666,000